[SciPy-User] OT: advice on modelling a time series

josef.pktd@gmai... josef.pktd@gmai...
Fri Mar 12 11:10:51 CST 2010


On Fri, Mar 12, 2010 at 12:01 PM, Robert Kern <robert.kern@gmail.com> wrote:
> On Fri, Mar 12, 2010 at 10:46,  <josef.pktd@gmail.com> wrote:
>> On Fri, Mar 12, 2010 at 11:32 AM,  <josef.pktd@gmail.com> wrote:
>
>>> From the graph, it also looks like the three observations are strongly
>>> related, so separate (univariate) modeling doesn't look like the most
>>> appropriate choice.
>>
>> from looking at the graphs:
>>
>> If acceleration is an independent GARCH process, then velocity would
>> just be the integral (plus noise), isn't it?
>
> Robin will have to confirm, but I suspect that only the position was
> actually measured and that he derived the velocity and acceleration
> from the position time series numerically.

In that case it might not be to difficult to go in reverse, from
acceleration to position. From the graph, I would think that
acceleration is the random input for the process. Maybe with some
adjustments to correct for specification errors.

Josef

>
> --
> Robert Kern
>
> "I have come to believe that the whole world is an enigma, a harmless
> enigma that is made terrible by our own mad attempt to interpret it as
> though it had an underlying truth."
>  -- Umberto Eco
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